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Palle E T Jorgensen "Palle Jorgensen" (Iowa City, Iowa United States)
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Reappraisals: Reflections on the Forgotten Twentieth Century
Reappraisals: Reflections on the Forgotten Twentieth Century
by Tony Judt
Edition: Paperback
Price: 8.39

1 of 2 people found the following review helpful
5.0 out of 5 stars Tony Judt's essays, 11 Dec 2011
Of Tony Judt's other books, `Postwar' is best known. Tony was an unparalleled master of modern history, and of the English language. That alone gives me much reading pleasure. Reappraisal, and Postwar are books I enjoyed reading the second time as well.
We recognize in them themes, delightful book reviews and stories; all against Tony's experiences growing up, and educated, in Europe: His early childhood in London, austerity, busses, school, trains, Eastern Europe, thinkers, Paris and Cambridge, but only Tony Judt infuse the stories with humanity and he keeps us in stitches.

For some years, I have enjoyed Tony Judt's essays and reviews in New York Review of Books; and I will miss them, sorely. My favorite bookstore and coffee shop has New York Review of Books displayed, a new one each week. I couldn't wait to read the next one of his essays. Some are now collected as a separate book, `Reappraisal': A small sample of topics: the Cuban Missile Crisis, French intellectuals, the fall of Communism, and the Israeli/Palestinian conflict.
Born a few years after the war, a member of the baby boom generation, Tony Judt spent his formative years in Europe, and summers in kibbutzim in Israel, spoke the languages, was early on immersed in left wing political trends, and out of all of it, he formed his own ideas later in life. In his professional life he was a Professor. (This reviewer shares these experiences.)

In his career, Tony Judt was a professor at NYU, director of the Remarque Institute, dedicated to the study of Europe, history and culture. By the way, Remarque is the author of "All Quiet at the Western Front. --- -- Review by Palle Jorgensen, Dec 2011.


Elements of the Theory of Functions and Functional Analysis (Dover Books on Mathematics)
Elements of the Theory of Functions and Functional Analysis (Dover Books on Mathematics)
by A.N. Kolmogorov
Edition: Paperback
Price: 16.79

3 of 4 people found the following review helpful
5.0 out of 5 stars another Dover classic, 10 Dec 2011
This is another wonderful Dover classic; so a reprint of a first edition that later became a classic. Price, not much more than a cup of coffee. It stays fresh a lot longer though.
It is a serious mathematics book, and it has remained current now for two generations. The level is upper level undergraduate and beginning graduate.

But it is also a great book for someone who is looking for a quick overview of basic tools in function theory, and functional analysis.
Grant you that a lot has changed since the first printing in the 1940's.

Key topics in the book are as relevant now as then, e.g., (sample from the contents) Normed and Topological Linear Spaces; and their duals; Linear Operators; Differential Calculus and integrals; Measurable Functions, Integration theory; Summable functions; spectral theory; Trigonometric series, Fourier transformation; Fredholm Integral Equations.

Andrei Kolmogorov was a true pioneer in what is now modern mathematics, and its neighboring areas: probability theory, stochastic processes, harmonic analysis, information theory, dynamical systems.
One point where the coverage is limited is in its focus on linear theory. With hindsight we now know that non-linear features must be used in models for turbulence and other areas of applications.

The book is great, nonetheless, for selfstudy, or for a supplement to anyone of a number of courses in mathematics. Review by Palle Jorgensen, December 2011.


A Course in Derivative Securities: Introduction to Theory and Computation (Springer Finance / Springer Finance Textbooks)
A Course in Derivative Securities: Introduction to Theory and Computation (Springer Finance / Springer Finance Textbooks)
by Kerry Back
Edition: Paperback
Price: 37.99

5.0 out of 5 stars It has a number of virtues., 15 Oct 2011
I have been teaching from the book, and found a number of virtues. I used it in a beginning graduate course, but one which was very interdisciplinary. I aimed at covering all the relevant topics for the subject, not stressing one (too much!) over the others.
Now the book is aimed at MBA students, and I used it in a course with students from a handful of departments.

But for this purpose the level and the details in Kerry Back's book was on target.
It helps student who come with a minimal mathematical background to be able quickly to absorb some main principles.
And at the same time it helps math students to understand ideas from economics and from finance.
The book offers an effective entry into the fundamentals of probability space, random variables, and Black-Scholes.

In particular, it offers insight into Black-Scholes, that doesn't presuppose, on the part of readers, a lot of PDE theory.
Kerry Back's choice of VBA/Excel offers way students can easily start to play with examples, and to generate their own examples.

For my use in a math course, I picked a number of books to use as supplementary reading, for example Oksendal et al, Krylov, Shreve, Wilmott et al, and Baz et al.
Review by Palle Jorgensen, October 2011.


Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)
Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)
by Marek Capinski
Edition: Paperback

6 of 6 people found the following review helpful
5.0 out of 5 stars An undergraduate text., 23 July 2011
An undergraduate text.
Financial derivatives are the products traded by the financial industry, banks and trading companies; a contract whose payoff depends on the behavior of a benchmark; financial instruments whose value is derived from a number of underlying variables.

Examples: futures, options, and swaps ; or other tradable assets, e.g., stocks or commodities; or such non-tradable items such as the temperature (weather derivatives), the unemployment rate, or any kind of (economic) index.

Since the industry has undergone a recent explosive growth, so have the number of variety of books covering the subject. As well as programs in financial engineering at universities around the world.

The book by Capinski & Zastawniak is aimed at undergraduate courses at the crossroad of theory and applications, and it should be useful more widely for readers wanting a mathematical introduction.

Covered are mathematical tools, arbitrage, assets (from risk-free to risky derivatives), financial valuation, financial models, asset pricing, interest rates.

On the math side: Black-Scholes, Ito's lemma, and a systematic presentation of stochastic differential equations; discrete and continuous time models. Monte Carlo simulation.

There are other similar books are out there, roughly the same level, and roughly the same emphasis; for example by Willmott-Howison-Dewynne, and by Baz & Chacko.
I believe they all serve a very useful purpose. Review by Palle Jorgensen, July 2011.


Financial Derivatives: Pricing, Applications, and Mathematics
Financial Derivatives: Pricing, Applications, and Mathematics
by Jamil Baz
Edition: Paperback
Price: 18.57

5.0 out of 5 stars Financial Derivatives., 23 July 2011
Financial Derivatives.
Financial derivatives are the products traded by the financial industry, banks and trading companies; a contract whose payoff depends on the behavior of a benchmark; financial instruments whose value is derived from a number of underlying variables.

Examples: futures, options, and swaps ; or other tradable assets, e.g., stocks or commodities; or such non-tradable items such as the temperature (weather derivatives), the unemployment rate, or any kind of (economic) index.
Since the industry has undergone a recent explosive growth, so have the number of variety of books covering the subject.

The book by Baz & Chacko is useful for readers wanting a mathematical introduction.
Covered are mathematical tools, financial valuation, financial models, asset pricing, Black-Scholes.

On the math side: Ito's lemma, and a systematic presentation of stochastic differential equations; and dynamical programming.
There are other similar books are out there, roughly the same level, and roughly the same emphasis; for example by Willmott-Howison-Dewynne, and by Capinski-Zastawniak.

I believe they all serve a very useful purpose. Review by Palle Jorgensen, July 2011.


Frequently Asked Questions in Quantitative Finance
Frequently Asked Questions in Quantitative Finance
by Paul Wilmott
Edition: Paperback
Price: 20.39

2 of 2 people found the following review helpful
5.0 out of 5 stars FAQ, 23 July 2011
I believe that this book accomplishes its intention: help students and users to get a quick entry into the subjects of use in finance.
One first impression that jumped out was the author's (PW) delightful sense of humor. ("Magicians and mathematicians!")
PW has taught and practiced this stuff, and it shows.

A big part is mathematical finance, and a big part of this is based on certain stochastic differential equations, the Black-Scholes equation for the computation of the value of options.
It uses the geometric Brownian motion which is also explained from a practical viewpoint.
The book takes both a narrow and a wide view.

Illustration: (i) It offers both short answers and long ones; the latter include mathematical formulae.

(ii) For the particular tasks at hand, the author offers an overview of the tools needed, mathematical tools figuring prominently.
(iii) List of keywords, with enlightening discussion and answers. Guides to the literature, etc.

(vi) There is a list of options and derivatives that are used: Accrual, American, European, Asian, Asset swap, Balloon option, Barrier option, Basket option, Bermuda option, Call and put options, Cap, Cliquet option, and more.

The book concludes with a list of tips for folks interviewing in banks and in the financial industry: typical questions! What to say, and what not! Review by Palle Jorgensen, July 2011.


84 Charing Cross Road
84 Charing Cross Road
by Helene Hanff
Edition: Paperback
Price: 5.65

2 of 2 people found the following review helpful
5.0 out of 5 stars Real letters, 23 April 2011
This review is from: 84 Charing Cross Road (Paperback)
Real letters.

I miss old fashioned letters, perhaps especially now that we live in the age of email. There are so few real letters left now, and this little collection here is a gem. I was reminded of some old 'real' letters saved, having by now collected dust, left from my parent's generation, and from a time long gone by.

Occasionally I stumble over collections of published letters in antique bookstores.
I found this by accident in my favorite corner book store. It is by Helene Hanff, and it's thin so it easily escapes your eye. Happy to learn that it has been reprinted by Penguin.
I was in stitches the moment I opened and began reading the first letter, and I thoroughly enjoyed all of them.
With book orders from Amazon now, the occasion for the letters will likely not be repeated. Helene was ordering used books from the book store in London.

The collection covers letters exchanged between ordinary people living their separate and ordinary lives on two Continents; one, Helene, in America, a freelance writer, living alone in a small apartment in New York City, E 95th Street, and in England, the staff in an antique bookstore in London, on 84, Charing Cross Road, Marks & Co; mainly Frank signing the letters from Charing Cross Road. The period spans three decades, starting a few years after WW 2, in the period of austerity in England.
By now, I have read it several times. I also learned that it has become a cult classic. And it has even been turned into a movie.

I found the book especially captivating because of its humanity and good humor. It brings the times and the people to life.
And the contrast of cultures can't help but to captivate; the no-nonsense prose of Helene, contrasted with the British polite formalities.
From Marks & Co to Helene: "Dear Madam; In reply to your letter of October 5th... ." And a PS in Helene's reply letter: "I hope "madam" doesn't mean over there what it does here."
The exchanges continue through the years, each one with book orders from Helene, and payments enclosed in the envelopes from Helene. And during rationing in London, there are food packages from Helene to friends at Marks & Co.
Sometime in the sixties, Frank dies unexpectedly. Sadly the two never get to meet in person.
In one of Helene's last letters: "The blessed man who sold me all these books died ... . If you happen to pass by 84 Charing Cross Road, kiss it for me? I owe it so much." -- Review by Palle Jorgensen, April 2011.


The Memory Chalet
The Memory Chalet
by Tony Judt
Edition: Hardcover
Price: 13.74

14 of 14 people found the following review helpful
5.0 out of 5 stars reminiscences, 15 Jan 2011
This review is from: The Memory Chalet (Hardcover)
A captivating little book of recollections, reminiscences, reflections and essays. They are delightful and warm, even uplifting, although the background for the book is sad: while dictating the stories, the author Tony Judt was dying from ALS, a motor neuron disease that in a short span of time killed his body, but left his mind intact. Reconstructing memories and delightful short stories was for him a way of enduring pain.

In an interview shortly before passing away, he says what we all know :`I was always good with words'; and he imagines his children reading the stories decades from now, and say: `This was our dad.'
I believe that the stories will continue to remind us of life's beauty. Perhaps Tony saw it more clearly knowing that there was so little time left. From my own childhood, I remember H C Andersen's little Match Girl, who in her last moments saw what escapes the rest of us: `No one imagined what beautiful things she had seen ...'
Readers of Tony Judt's other books, `Postwar' the best known of them, will recall an unparalleled master of the English language. That alone gives me much reading pleasure. It is a book you enjoy the second time as well. We are all able to recognize the themes in the stories; for Tony, early childhood in London, austerity, busses, school, trains, and Cambridge, but only Tony Judt can infuse the stories with humanity and keep us in stitches.

For some years, I have enjoyed Tony Judt's essays and reviews in New York Review of Books; and I will miss them, sorely. My favorite bookstore and coffee shop has New York Review of Books displayed, a new one each week. I couldn't wait to read the next one of his essays. (Some are now collected in a separate book, called Reappraisals.)
Born a few years after the war, a member of the baby boom generation, Tony Judt spent his formative years in Europe, and summers in kibbutzim in Israel, spoke the languages, was early on immersed in left wing political trends, and out of all of it, he formed his own ideas later in life. In his professional life he was a Professor. (This reviewer shares these experiences.)
In his career, Tony Judt was a professor at NYU, director of the Remarque Institute, dedicated to the study of Europe, history and culture. By the way, Remarque is the author of "All Quiet at the Western Front. --- -- Review by Palle Jorgensen, Jan 2011.


Basic Stochastic Processes: A Course Through Exercises (Springer Undergraduate Mathematics Series)
Basic Stochastic Processes: A Course Through Exercises (Springer Undergraduate Mathematics Series)
by Tomasz Zastawniak
Edition: Paperback
Price: 22.45

1 of 1 people found the following review helpful
5.0 out of 5 stars clear explanations, 19 Mar 2010
Well motivated; well explained; easy to understand! A great read; and still offering readers getting a deeper understanding! There are a number of reasons for this book: An understandable presentation of tools from probability and stochastic processes is especially timely.
With clear explanations, and with lots of examples and illustrations!
A useful first book, before turning to more specialized presentations!
While the subject has a long history and a multitude of applications, there is more recent buzz: It has been suggested that the recent turmoil in financial markets may be caused in part by poor understanding on the part of traders of the mathematical models for derivative trading.
The mathematical tools are widely used, but probably a lot less widely understood!

A bit of history: Stochastic processes is a theory started more than a hundred years ago (1900, Louis Bachlier, a Paris-PhD thesis under Poincare), then Albert Einstein's 1905 discovery of Brownian motion, Norbert Wiener's path-space integral (the 1920ties), K. Ito's integral & formula (the 1940ties) and Paul Samuelson-Merton-Black-Scholes 1974, a stochastic differential equation for option pricing: All mathematical tools devised for the purpose of predicting uncertain outcomes in the world around us: in financial engineering; in physics (quantum mechanics, diffusion & thermodynamics); in biology, and in other parts of our experience.
Review by Palle Jorgensen, March 2010.


The Strangest Man: The Life of Paul Dirac
The Strangest Man: The Life of Paul Dirac
by Graham Farmelo
Edition: Paperback
Price: 7.03

5.0 out of 5 stars A Life., 15 Feb 2010
The biography of P. A. M. Dirac is compelling; beautifully written!
Dirac was as contemporary of Albert Einstein, and his science and his life story share elements in common with that of Einstein.
Yet there are hundreds of Einstein biographies, to my knowledge, this is a first for Dirac. While Einstein reveled in the glare of the press, Dirac shunned it.
Both won the Nobel Prize in physics, Dirac for his pioneering role in quantum mechanics, his equation for the electron, his discovery of the positron, and his mathematics. His book Principles of Quantum Mechanics (1930) is still the bible in the subject.
On top of this he pioneered quantum electrodynamics.
While both protected their privacy, Dirac avoided statements to the press, and avoided the limelight going along with fame.
His story is compelling: an abusive father, his reaction to a horrible childhood, a hate-filled home, the suicide of his brother. If anyone outside science knows anything about the private Paul Dirac, they are likely to know that he was a man of few words, answering questions with yes, no; or more likely "I don't know!"
Perhaps Dirac felt that nature and science is expressed in the language of mathematics, and that words by comparison tend to be empty.
And Dirac often argued that the more profound insight is more likely to be uncovered in a beautiful mathematical equation; as opposed to hard experiments!
The author Farmelo (his earlier book It Must Be Beautiful) seems to be born to tell the story of Dirac. It is compelling, and the characters are brought to light, each in a portrait that makes them real: other scientists, Heisenberg, Bohr, and especially his lifelong friend and experimental physicist Peter Kapitza from the Soviet Union; later Nobel for his discovery of superfluidity of liquid helium.
And his wife, the sister of the Princeton physicist Eugene Wigner; an extrovert, and in personality the opposite of Paul Dirac.
At conferences Eugene Wigner, known for his modesty, referred to his "famous brother-in law!"
The periods of Dirac's life span his childhood in England, his career in Cambridge, his travels to the Soviet union before and during the Cold War, and his retirement in Florida, USA.
I met him once at lunch when he was visiting his son in Aarhus where I was teaching at the time!
There is some science in the book, but mostly it is about Dirac's life. (There are already books that cover well Dirac's mathematical physics!)
It has become popular to speculate that geniuses might have suffered from some form of undiagnosed autism, to account for their character quirks. Personally I believe this is unlikely.
Reviewed by Palle Jorgensen, February 2010.


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